Yeah I would advise if you have sheep with horns then defo get a non-rope halter (the ones like a horse head collar) they are much faster to get on! (I can recommend these:
http://www.llugwy-farm.co.uk/tackroom/sheep_headcollars.asp)
As for halter training, this is how I do it ...
Get the halter on.
Start trying to lead the sheep around (I do this in the same field where the other sheep are, sometimes it helps if they are around, esp with lambs as I think they feel more secure when their friends are near)
Sheep will throw itself around like crazy or lie solid on the ground (as Fleecewife says), so resort to plan B. Sometimes though they will just walk, which is great!
Plan B:
Try to get it back on it's feet!
Hold the rope (securely) at the very end, or better still tie another rope on the end so that you can be even further away.
Firmly pull on the rope, facing the sheep so that it comes towards you. As soon as the sheep takes a foot step in your direction, relax the rope (but not too much, just enough to take the pressure off the sheep).
Re-apply the pressure so that the sheep takes another step, again relax as soon as they do.
Repeat many times, until they a) walk for longer without stopping and b) you can work your way up the rope so that you are closer to them and they will walk beside you.
You might need to repeat this process on several occasions, to re-affirm the training. Note that, it is always best to end a training session on a positive note, so if they do a good walk then end it there straight away, and give them a treat. This will also help to reinforce the training.